A new method for solving Kolmogorov equations in mathematical finance (Q2363532)

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scientific article; zbMATH DE number 6748836
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    A new method for solving Kolmogorov equations in mathematical finance
    scientific article; zbMATH DE number 6748836

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      A new method for solving Kolmogorov equations in mathematical finance (English)
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      19 July 2017
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      The authors summarize research into the Fokker-Plank and Kolmogorov equations with application to calibration and valuation of models in finance. They propose an approach that combines a localization method and a mesh-free technique. Through several numerical examples benchmarking accuracy and convergence, they show the advantages of their algorithm, dubbed CoDeFi.
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      Fokker-Plank equation
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      Kolmogorov equation
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      Monte Carlo
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      option pricing
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